ylddisc - Yield of discounted security

Syntax

Yield = ylddisc(Settle, Maturity, Face, Price, Basis)

`Settle`	Settlement date. Enter as serial date number or date string. `Settle` must be earlier than or equal to `Maturity`.
`Maturity`	Maturity date. Enter as serial date number or date string.
`Face`	Redemption (par, face) value.
`Price`	Discounted price of the security.
`Basis`	(Optional) Day-count basis of the instrument. A vector of integers. 0 = actual/actual (default) 1 = 30/360 (SIA) 2 = actual/360 3 = actual/365 4 = 30/360 (PSA) 5 = 30/360 (ISDA) 6 = 30/360 (European) 7 = actual/365 (Japanese) 8 = actual/actual (ISMA) 9 = actual/360 (ISMA) 10 = actual/365 (ISMA) 11 = 30/360E (ISMA) 12 = actual/365 (ISDA)

Yield = ylddisc(Settle, Maturity, Face, Price, Basis) finds the yield of a discounted security.

Using the data

Settle = '10/14/2000';
Maturity = '03/17/2001';
Face = 100;
Price = 96.28;
Basis = 2;

Yield = ylddisc(Settle, Maturity, Face, Price, Basis)

returns

Yield =

        0.0903 (or 9.03%)

Mayle, Standard Securities Calculation Methods, Volumes I-II, 3rd edition. Formula 1.